Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.2693 |
| Annualized Std Dev | 0.5711 |
| Annualized Sharpe (Rf=0%) | 0.4716 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3112.0000 |
| NAs | 1.0000 |
| Minimum | -0.3387 |
| Quartile 1 | -0.0110 |
| Median | 0.0022 |
| Arithmetic Mean | 0.0016 |
| Geometric Mean | 0.0009 |
| Quartile 3 | 0.0174 |
| Maximum | 0.2781 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | 0.0003 |
| UCL Mean (0.95) | 0.0029 |
| Variance | 0.0013 |
| Stdev | 0.0360 |
| Skewness | -0.5133 |
| Kurtosis | 10.9731 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0266 |
| Gain Deviation | 0.0253 |
| Loss Deviation | 0.0305 |
| Downside Deviation (MAR=210%) | 0.0297 |
| Downside Deviation (Rf=0%) | 0.0259 |
| Downside Deviation (0%) | 0.0259 |
| Maximum Drawdown | 0.7686 |
| Historical VaR (95%) | -0.0551 |
| Historical ES (95%) | -0.0903 |
| Modified VaR (95%) | -0.0547 |
| Modified ES (95%) | -0.1097 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2021-01-08 | -0.7686 | 225 | 23 | 202 |
| 2008-11-06 | 2009-03-09 | 2009-09-16 | -0.7137 | 216 | 83 | 133 |
| 2011-05-02 | 2011-10-03 | 2012-09-13 | -0.5381 | 347 | 108 | 239 |
| 2018-09-21 | 2018-12-24 | 2019-07-24 | -0.5027 | 210 | 65 | 145 |
| 2010-04-26 | 2010-07-02 | 2010-12-10 | -0.4351 | 161 | 49 | 112 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -26 | 3.4 | -23.5 |
| 2009 | -6.3 | -6.4 | 6 | 2 | 7.6 | 1.1 | 0.3 | -6.6 | -7.6 | -8.5 | 3.6 | -2.9 | -17.7 |
| 2010 | 4.7 | 3.2 | 2.2 | -4.9 | -5.7 | -0.9 | 0.2 | 8.4 | 1.1 | 0 | 6.3 | 0.1 | 14.7 |
| 2011 | 4.7 | -5 | 1.3 | 0.9 | -6.7 | 4.3 | -1.4 | -3.4 | -7.5 | -8.1 | 0 | -1.1 | -20.9 |
| 2012 | 3 | 2.1 | 0.9 | 1.9 | -7.6 | 7.4 | -0.4 | 1.1 | 0.6 | 3.6 | -0.3 | 5.3 | 18.3 |
| 2013 | 3.1 | 1.4 | -0.8 | -2.6 | -4.2 | 2.5 | 3.4 | -1.1 | 2.2 | 0.9 | -0.3 | 1.4 | 5.7 |
| 2014 | -1.9 | 0.7 | 2 | -0.1 | 0.3 | 2 | -0.9 | 0.8 | -4 | 3.3 | -2.2 | -3.1 | -3.2 |
| 2015 | -3.7 | -1 | -1 | 3.1 | 0.6 | 2.1 | -0.5 | -8.9 | 0.8 | -1.4 | 2.9 | -2.9 | -10 |
| 2016 | 0 | 7.4 | 1.9 | -1.6 | 0.5 | 0.6 | -0.4 | 0 | 2.4 | -2.1 | -1 | -1.1 | 6.7 |
| 2017 | 0.1 | 4.1 | -0.7 | 0.6 | 2.3 | 0.5 | 0.6 | 0.5 | 0.9 | 0.5 | -0.5 | -0.9 | 8.3 |
| 2018 | -0.4 | -4.1 | 4.2 | 0.5 | 3.1 | 0.5 | -0.3 | 0 | 1 | 3.2 | 2 | 2.8 | 12.9 |
| 2019 | 0.1 | 2 | 3.4 | -2.2 | -3.9 | 2.4 | -2.6 | -0.1 | -3.7 | 2.8 | -1.1 | 0.8 | -2.4 |
| 2020 | -5.4 | -1.2 | -13.3 | -7.7 | 1.4 | 1.9 | 2.4 | 2.9 | 1.8 | -3.2 | 3.2 | 1.6 | -15.8 |
| 2021 | 4.9 | 7.2 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 11.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-05 4.25 SPY 96.2 -0.042 0.0334 -0.0384 -0.243 -0.368 -0.213 -0.0905 GLD 72.8 -0.0355 -0.0162
2 2008-11-06 3.6 SPY 90.9 -0.0554 -0.0565 -0.0682 -0.298 -0.386 -0.256 -0.142 GLD 72.2 -0.008 -0.0067
3 2008-11-07 3.85 SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
4 2008-11-10 3.70 SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
5 2008-11-11 3.46 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
6 2008-11-12 3.07 SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
